Cisco IOS ROM - if you want to play with PIX, then you need that ROM image. If you like to use router also, then you have to have router ROM image too. Since this is belong to Cisco, Google is your friend, then download it.

Serial # of PIX if you want to use PIX firewall simulator. Again, Google is your best friend here.

Telnet or SSH client

For Windows XP, you are likely to have telnet turn on by default

For Vista, telnet is disabled as a default, so go to Control Panel | Program and Features | Turn Windows on and off | check at Telnet Client the list, then click OK.

In order to use this simulator, you have to install GNS3 first. All you have to do is going through setup wizard which you don't have to tweak a thing.

Then you have GNS3 in your start menu.

At this point, you will have set some options to let GNS3 know where IOS image is.